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晨星形态策略

晨星形态是看涨的三根K线组合，常在下跌后预示底部形成。它由一根大阴线、一个小型十字或小实体蜡烛以及一根收盘价高于第一根中点的强阳线组成。

测试表明年均收益约为 97%，该策略在加密市场表现最佳。

本策略跟踪连续三根K线。当出现晨星形态时，开多仓，止损设在中间小蜡烛下方。若价格升破确认蜡烛的高点或触发止损则平仓。

由于该形态往往在超卖后迅速反弹，交易一般持续时间较短，抓取初始上涨动力。

细节

  • 入场条件：完整的三根晨星形态。
  • 多/空：仅做多。
  • 退出条件：价格突破确认蜡烛高点或止损。
  • 止损：有，设在中间蜡烛低点下方。
  • 默认值：
    • CandleType = 5 分钟
    • StopLossPercent = 1
  • 过滤条件：
    • 类别: 形态
    • 方向: 多头
    • 指标: K线形态
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Long-only three-candle Morning Star with middle-candle-low stop and confirmation-high target.
/// </summary>
public class MorningStarStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly List<ICandleMessage> _recent = new();
	private decimal? _stopPrice;
	private decimal? _targetPrice;
	private Order _entryOrder;
	private Order _exitOrder;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	public MorningStarStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Morning Star pattern timeframe", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 1m).SetRange(0m, 99m)
			.SetDisplay("Stop below middle low (%)", "Buffer below the middle candle's low; zero places the stop at that low", "Protection");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		ClearState();
	}

	private void ClearState()
	{
		_recent.Clear();
		_stopPrice = _targetPrice = null;
		_entryOrder = _exitOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ClearState();
		var bids = new Subscription(DataType.Level1, Security);
		bids.MarketData.BuildField = Level1Fields.BestBidPrice;
		SubscribeLevel1(bids).Bind(ProcessBid).Start();
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private static bool IsPending(Order order)
		=> order is not null && order.State is not (OrderStates.Done or OrderStates.Failed);

	private void ProcessBid(Level1ChangeMessage message)
	{
		if (message.TryGetDecimal(Level1Fields.BestBidPrice) is decimal bid && bid > 0m)
			CheckExit(bid, bid);
	}

	private bool CheckExit(decimal low, decimal high)
	{
		if (Position <= 0m || IsPending(_exitOrder))
			return false;
		// With only a completed bar's range, prefer the adverse stop when both levels touched.
		if (_stopPrice is decimal stop && low <= stop ||
			_targetPrice is decimal target && high > target)
		{
			_exitOrder = SellMarket(Position);
			_recent.Clear();
			_stopPrice = _targetPrice = null;
			return true;
		}
		return false;
	}

	private void Append(ICandleMessage candle)
	{
		_recent.Add(candle);
		if (_recent.Count > 2)
			_recent.RemoveAt(0);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		if (Position > 0m && CheckExit(candle.LowPrice, candle.HighPrice))
			return;
		if (IsPending(_entryOrder) || IsPending(_exitOrder))
		{
			Append(candle);
			return;
		}
		if (Position == 0m && _recent.Count == 2 && IsFormedAndOnlineAndAllowTrading())
		{
			var first = _recent[0];
			var middle = _recent[1];
			var firstBody = first.OpenPrice - first.ClosePrice;
			var middleBody = Math.Abs(middle.ClosePrice - middle.OpenPrice);
			var thirdBody = candle.ClosePrice - candle.OpenPrice;
			var firstMidpoint = (first.HighPrice + first.LowPrice) / 2m;
			if (firstBody > 0m && middleBody < firstBody / 2m &&
				thirdBody >= firstBody / 2m && candle.ClosePrice > firstMidpoint)
			{
				_stopPrice = middle.LowPrice * (1m - StopLossPercent / 100m);
				_targetPrice = candle.HighPrice;
				_entryOrder = BuyMarket(Volume);
			}
		}
		Append(candle);
	}
}